USMV Options History — February 2014 In February 2014, USMV traded between $33.68 and $35.93. ATM implied volatility averaged 9.8%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded below realized volatility by 3.3% (HV 20d: 13.1%). Max pain ranged from $33.00 to $33.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2014-02-24 : Highest Volume — 5 contracts2014-02-19 : Largest IV spike — 58.6% change2014-02-03 : Highest IV Rank — 11.8%2014-02-03 : Largest Expected Move — 4.3%Monthly Statistics Metric Avg Min Max Open Close Price $35.08 $33.68 $35.93 $33.68 $35.93 Max Pain $33.00 $33.00 $33.00 $33.00 $33.00 ATM IV 9.8% 6.5% 14.9% 14.9% 8.9% Expected Move 2.8% 1.9% 4.3% 4.3% 2.6% HV 20d 13.1% 11.4% 14.2% 12.2% 11.4% HV 60d 10.3% 9.9% 10.5% 10.1% 10.5% IV Rank 5.2% 1.0% 11.8% 11.8% 4.1% IV Percentile 45.2% 2.1% 95.9% 95.9% 36.6% Term Structure 2.6% -7.0% 20.5% -0.5% 0.6% VWIV 8.9% 7.9% 9.9% 9.9% 7.9% Skew 25d 2.9% -0.4% 8.3% 5.1% 0.3% Skew 10d 0.5% -29.5% 13.4% 4.9% 0.7% Call IV 25d 8.2% 6.0% 11.9% 11.9% 8.2% Put IV 25d 11.2% 7.8% 17.7% 17.0% 8.5% Bid-Ask Spread % 97.96 49.84 162.70 53.73 153.07 Gamma HHI 0.35 0.24 0.54 0.28 0.53 Net GEX 2.4K -13.5K 9.9K 7.2K -11.8K Net DEX -389.3K -518.3K -220.9K -220.9K -518.3K Net VEX -1.2K -1.7K -440 -1.5K -440 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.526 0 5 0 0 Total OI 261.526 259 265 259 265
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-02-03 $33.68 $33.00 14.9% 4.3% 12.2% 11.8% 0.0% 5.1% -0.5% 7.2K -220.9K -1.5K 0.00 53.73 N/A N/A 0 0 182 77 2014-02-04 $33.89 $33.00 13.9% 4.0% 12.6% 10.6% 0.0% 0.6% -0.4% 7.6K -233.3K -1.5K 0.00 50.76 N/A N/A 1 0 182 77 2014-02-05 $33.86 $33.00 12.5% 3.6% 12.3% 8.7% 0.0% 6.6% -7.0% 7.1K -239.6K -1.7K 0.00 154.99 N/A N/A 0 0 182 77 2014-02-06 $34.14 $33.00 13.5% 3.9% 12.8% 10.0% 0.0% 2.5% -0.6% 7.1K -258.6K -1.5K 0.00 49.84 N/A N/A 1 0 182 77 2014-02-07 $34.57 $33.00 8.6% 2.3% 13.7% 3.8% 0.0% 8.3% 7.4% 9.9K -292.4K -1.6K 0.00 135.57 N/A N/A 0 0 183 77 2014-02-10 $34.66 $33.00 7.4% 2.7% 13.6% 2.2% 0.0% 3.7% 2.1% 6.3K -342.0K -1.3K 0.00 100.23 N/A N/A 0 0 183 77 2014-02-11 $35.03 $33.00 9.0% 2.8% 13.8% 4.2% 9.9% 5.7% 3.2% -88 -395.2K -1.1K 0.00 97.52 N/A N/A 1 0 183 77 2014-02-12 $35.03 $33.00 9.1% 2.6% 13.6% 4.4% 0.0% 2.2% 4.8% 282 -400.1K -1.0K 0.00 117.01 N/A N/A 0 0 184 77 2014-02-13 $35.26 $33.00 8.9% 2.5% 13.8% 4.1% 0.0% 2.8% 20.5% 5.8K -389.7K -1.5K 0.00 157.21 N/A N/A 0 0 184 77 2014-02-14 $35.45 $33.00 10.8% 3.1% 13.9% 6.6% 0.0% 3.1% 0.8% 3.1K -423.1K -1.1K 0.00 59.83 N/A N/A 0 0 184 77 2014-02-18 $35.55 $33.00 7.4% 2.1% 14.0% 2.2% 0.0% 4.2% 5.1% 4.9K -423.3K -1.2K 0.00 120.73 N/A N/A 2 0 184 77 2014-02-19 $35.42 $33.00 11.8% 3.4% 14.0% 7.9% 0.0% 3.6% 0.7% 3.2K -424.1K -1.1K 0.00 60.46 N/A N/A 0 0 186 77 2014-02-20 $35.65 $33.00 7.8% 2.2% 14.2% 2.7% 0.0% 3.0% 8.1% -13.5K -486.4K -495 0.00 92.38 N/A N/A 0 0 186 77 2014-02-21 $35.61 $33.00 8.3% 2.4% 14.0% 3.3% 0.0% 2.3% 1.1% 1.9K -448.5K -1.1K 0.00 62.68 N/A N/A 0 0 186 77 2014-02-24 $35.66 $33.00 9.1% 2.6% 12.5% 4.3% 7.9% -0.2% 0.3% 737 -455.5K -1.0K 0.00 53.89 N/A N/A 5 0 185 75 2014-02-25 $35.66 $33.00 9.2% 2.6% 12.3% 4.5% 0.0% 0.1% 0.4% 2.2K -461.4K -1.1K 0.00 53.48 N/A N/A 0 0 190 75 2014-02-26 $35.67 $33.00 7.7% 2.2% 12.2% 2.5% 0.0% -0.4% 0.7% 5.9K -497.3K -864 0.00 162.70 N/A N/A 0 0 190 75 2014-02-27 $35.80 $33.00 6.5% 1.9% 11.6% 1.0% 0.0% 2.4% 2.8% -2.6K -486.4K -864 0.00 125.09 N/A N/A 0 0 190 75 2014-02-28 $35.93 $33.00 8.9% 2.6% 11.4% 4.1% 0.0% 0.3% 0.6% -11.8K -518.3K -440 0.00 153.07 N/A N/A 0 0 190 75
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